Estimating the Equity Risk Premium for Economies in the Asian Region | Zendy

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Estimating the Equity Risk Premium for Economies in the Asian Region

Author(s) -

Michael Brian Cohen

Publication year - 2009

Publication title -

asian journal of finance and accounting

Language(s) - English

Resource type - Journals

ISSN - 1946-052X

DOI - 10.5296/ajfa.v1i1.86

Subject(s) - equity (law) , economics , risk premium , estimation , equity premium puzzle , financial economics , monetary economics , political science , law , management

The Equity Risk Premium (ERP) is widely used in economic and financial analysis, yet it is difficult to find empirical estimates of the ERP that are generally accepted. The paucity of data in Asian economies exacerbates the problems of estimation. This study estimates the ERP for the larger market-orientated Asian economies and compares the estimates with those of the United States. Surprisingly, of the seven economies examined, the ERP of four cannot be statistically differentiated from that of the United States.

Keywords: Equity risk premium, Asian economies, Estimation

JEL Classifications: G11, G12, E42

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